Fatigue is the most frequently reported symptom in advanced lung cancer patients with an estimated prevalence of approximately 80%. Studies have demonstrated that fatigue has a significant adverse impact on quality of life (QOL) of patients with advanced lung cancer as it negatively affects their functioning and mood. There is a growing body of literature supporting the use of exercise in the therapy of cancer-related fatigue. The primary goal of this pilot study is to assess the feasibility of a structured exercise-training program in patients with advanced non-small cell lung cancer (NSCLC), the most common form of lung cancer. Secondary goals include assessing the impact of an exercise program on symptom burden and functional capacity. Thirty patients with newly diagnosed advanced NSCLC will undergo a structured, yet individualized, eight-week exercise program consisting of aerobic conditioning and strength training under the supervision of a licensed physical therapist. The program's feasibility will be measured by the proportion of participants able to complete the entire exercise regimen. Fatigue and QOL will be assessed with the FACT-Fatigue Scale and FACT-Lung prior to and upon completion of the exercise program. Functional capacity will be assessed with the 6-minute walk test prior to and upon completion of the exercise program. If this study proves feasible, the data obtained from this pilot study will be used to design and implement a randomized controlled trial addressing the impact of exercise on clinical outcomes and QOL in advanced lung cancer patients.